Viktor Todorov
Viktor Todorov

FINANCE
Associate Professor of Finance

Print Overview

Viktor Todorov is an Associate Professor of Finance. He joined Kellogg in 2007 after completing his PhD in Economics at Duke University.

Professor Todorov's research interests include theoretical and empirical asset pricing, derivatives and econometrics. His recent research focuses on robust estimation of asset pricing models using high-frequency financial data as well as the identification and modeling of jump risk premium combining information from options markets.



Print Vita
Education
PhD, 2007, Economics, Duke University
MA, 2002, Economics, Central European University
BA, 1999, Finance, Varna University of Economics

Academic Positions
Associate Professor of Finance, Kellogg School of Management, Northwestern University, 2011-present
Assistant Professor of Finance, Kellogg School of Management, Northwestern University, 2007-2011

Grants and Awards
Finalist for the AQR Insight Award for the paper ``The Risk Premia Embedded in Index Options'', AQR; Greenwich, CT
Elected Fellow, Journal of Econometrics
Elected Felllow, Society for Financial Econometrics
Arnold Zellner Thesis for best Thesis in Business and Economic Statistics , American Statistical Association

Editorial Positions
Associate Editor, Journal of Financial Econometrics, 2012-2016
Associate Editor, Journal of Econometrics, 2012-2018
Associate Editor, Econometric Theory, 2014-2018

Print Research
Research Interests
Asset pricing, econometrics, applied probability

Articles
Todorov, Viktor. Forthcoming. Jump Activity Estimation for Pure-Jump Ito Semimartingales via Self-Normalised Statistics. Annals of Statistics.
Bollerselv, Tim, Viktor Todorov and Lai Xu. Forthcoming. Tail Risk Premia and Return Predictability. Journal of Financial Economics.
Andersen, Torben, Nicola Fusari and Viktor Todorov. Forthcoming. The Risk Premia Embedded in Index Options. Journal of Financial Economics.
Andersen, Torben, Nicola Fusari and Viktor Todorov. Forthcoming. Parametric Inference and Dynamic State Recovery from Option Panels. Econometrica.
Reiß, Markus, Viktor Todorov and George Tauchen. Forthcoming. Nonparametric Test for a Constant Beta between Ito Semimartingales based on High Frequency Data. Stochastic Processes and Their Applications.
Andersen, Torben, Oleg Bondarenko, Viktor Todorov and George Tauchen. Forthcoming. The Fine Structure of Equity-Index Option Dynamics. Journal of Econometrics.
Todorov, Viktor and Tim Bollerslev. 2014. Time-Varying Jump Tails. Journal of Econometrics. 183: 168-180.
Todorov, Viktor and George Tauchen. 2014. Limit Theorems for the Empirical Distribution Function of Scaled Increments of Ito Semimartingales at High Frequencies. Annals of Applied Probability. 24: 1850-1888.
Todorov, Viktor and Jean Jacod. 2014. Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps. Annals of Statistics. 42: 1029-1069.
Todorov, Viktor, George Tauchen and Iaryna Grynkiv. 2014. Volatility Activity: Specification and Estimation. Journal of Econometrics. 178: 180-193.
Todorov, Viktor, Jia Li and George Tauchen. 2014. Volatility Occupation Times. Annals of Statistics. 41: 1865-1891.
Todorov, Viktor. 2013. Realized Power Variation from Second Order Differences for Pure Jump Semimartingales. Stochastic Processes and Their Applications. 123: 2829-2850.
Bollerslev, Tim, Viktor Todorov and Sophia Zhengzi Li. 2013. Jump Tails, Extreme Dependencies and the Distribution of Stock Returns. Journal of Econometrics.(172): 307-324.
Diop, A., Jean Jacod and Viktor Todorov. 2013. Central Limit Theorems for Approximate Quadratic Variations of Pure Jump into Semimartingales. Stochastic Processes and Their Applicationa. 123: 839-886.
Todorov, Viktor and George Tauchen. 2012. Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions. Journal of American Statistical Association. 107: 622-635.
Todorov, Viktor and George Tauchen. 2012. Realized Laplace Transforms for Pure-Jump Semimartingales. Annals of Statistics. 40(2): 1233-1262.
Todorov, Viktor and George Tauchen. 2012. The Realized Laplace Transform of Volatility. Econometrica. 80: 1105-1127.
Bollerslev, Tim and Viktor Todorov. 2011. Estimation of Jump Tails. Econometrica. 79(6): 1727-1783.
Bollerslev, Tim and Viktor Todorov. 2011. Tails, Fears and Risk Premia. Journal of Finance. 66(6): 2165-2211.
Todorov, Viktor, George Tauchen and Iaryna Grynkiv. 2011. Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models. Journal of Econometrics. 164(2): 367-381.
Todorov, Viktor and George Tauchen. 2011. Volatility Jumps. Journal of Business and Economic Statistics. 29(3): 356-371.
Todorov, Viktor and George Tauchen. 2011. Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation. Annals of Applied Probability. 21(2): 546-588.
Todorov, Viktor. 2011. Econometric Analysis of Jump-Driven Stochastic Volatility Models. Journal of Econometrics. 160(1): 12-21.
Jacod, Jean and Viktor Todorov. 2010. Do Price and Volatility Jump Together?. Annals of Applied Probability. 20(4): 1425-1469.
Todorov, Viktor and Tim Bollerslev. 2010. Jumps and Betas: A New Theoretical Framework for Disentangling and Estimating Systematic Risks. Journal of Econometrics. 157: 220-235.
Todorov, Viktor. 2010. Variance Risk Premium Dynamics: The Role of Jumps. Review of Financial Studies. 23(1): 345-383.
Todorov, Viktor and George Tauchen. 2010. Activity Signature Functions for High-Frequency Data Analysis. Journal of Econometrics. 154: 125-138.
Jacod, Jean and Viktor Todorov. 2009. Testing for Common Arrival of Jumps in Discretely-Observed Multidimensional Processes. Annals of Statistics. 37: 1792-1838.
Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 148: 131-148.
Todorov, Viktor and George Tauchen. 2006. Simulation Methods for Levy-driven CARMA Stochastic Volatility Models. Journal of Business & Economic Statistics. 24(4): 455-469.
Todorov, Viktor. 2013. Power Variations from Second Order Differences foe Pure Jump Semimartingales. Stochastic Processes and Their Applications. 123: 2829-2850.
Working Papers
Todorov, Viktor, Tim Bollerselv and Sophia Zhengzi Li. 2015. Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross Section of Expected Stock Returns.
Todorov, Viktor and Jean Jacod. 2015. Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices.
Todorov, Viktor, George Tauchen and Jia Li. 2014. Jump Regressions.
Todorov, Viktor, George Tauchen and Jia Li. 2014. Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data.
Li, Jia, Viktor Todorov and George Tauchen. 2014. Estimating the Volatility Occupation Time via Regularized Laplace Inversion.
Li, Jia, Viktor Todorov and George Tauchen. 2014. Inference Theory for Volatility Functional Dependencies.
Book Chapters
Andersen, Torben and Viktor Todorov. 2010. "Realized Volatility and Multipower Variation." In Encyclopedia of Quantitative Finance, edited by Ole Barndorff-Nielsen and Eric Renault, Wiley.

 
Print Teaching
Teaching Interests
Derivatives, investments
Full-Time / Part-Time MBA
Derivative Markets I (FINC-465-0)
This course covers the use and pricing of forwards and futures, swaps and options. Specific topics include strategies for speculation and risk management, no-arbitrage pricing for forward contracts, the binomial and Black-Scholes option pricing models and applications of pricing models in other contexts.

Doctoral
Time Series Analysis (FINC-520-1)
The specification, estimation, and diagnostic testing of dynamic models involving economic time series present a host of unique statistical problems requiring the use of specialized inference procedures. This course provides an overview of some of the most important of these procedures. The focus will be on results most relevant for practical applications rather than formal proofs of theorems, with the various econometric techniques illustrated through problems in both macroeconomics and asset pricing finance.